Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0587
Annualized Std Dev 0.1983
Annualized Sharpe (Rf=0%) 0.2960

Row

Daily Return Statistics

Close
Observations 4313.0000
NAs 1.0000
Minimum -0.1108
Quartile 1 -0.0041
Median 0.0007
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0054
Maximum 0.1077
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0125
Skewness -0.3099
Kurtosis 12.5980

Downside Risk

Close
Semi Deviation 0.0091
Gain Deviation 0.0091
Loss Deviation 0.0104
Downside Deviation (MAR=210%) 0.0136
Downside Deviation (Rf=0%) 0.0090
Downside Deviation (0%) 0.0090
Maximum Drawdown 0.6131
Historical VaR (95%) -0.0184
Historical ES (95%) -0.0311
Modified VaR (95%) -0.0181
Modified ES (95%) -0.0277
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-05 2013-11-13 -0.6131 1625 442 1183
2020-02-13 2020-03-23 2021-01-07 -0.3678 228 27 201
2018-09-24 2018-12-24 2019-10-28 -0.1851 276 64 212
2015-05-22 2016-02-11 2016-07-12 -0.1501 287 183 104
2018-01-29 2018-03-23 2018-09-21 -0.1129 165 39 126

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA 0.8 0.6 0.3 0 -0.9 -0.3 0.4 1.5 0.1 1 0 3.6
2005 0.9 0.4 -0.3 1.1 0.4 0 0 0.6 0.1 -0.3 1.2 -0.3 3.9
2006 0.2 0.6 0 -0.7 1.1 0.1 -0.1 0.5 -0.2 -0.5 -0.1 -0.5 0.4
2007 0.9 -0.2 -0.2 0.2 0.5 -0.2 1.2 0.9 1.4 -3.2 0.9 -0.6 1.5
2008 2.1 -2.8 4 1.7 -0.3 0.5 -0.2 -0.9 0.5 2.3 -9.7 1.5 -2
2009 -2.2 -2.9 2.6 0.6 2.3 0.4 0.4 -2.7 -2.7 -3.2 1.2 -0.9 -6.9
2010 1.3 0.8 0.9 -1.6 -1.9 -0.5 0 2.9 0.6 -0.1 2.2 0 4.6
2011 1.8 -1.6 0.6 0.3 -2.3 1.5 -0.3 -1.2 -2.2 -2.9 -0.3 -0.5 -7
2012 1 0.6 0.5 0.8 -2.4 2.4 -0.3 0.5 0.3 1 -0.1 1.6 6
2013 1 0.4 -0.2 -1 -1.5 0.6 1.2 -0.3 0.6 0.3 -0.2 0.4 1.3
2014 -0.7 0.3 0.3 -0.2 0.2 0.6 -0.3 0.3 -1.3 1.1 -0.4 -1.1 -1.1
2015 -1.7 -0.3 -0.6 1 0.1 0.8 -0.3 -3 0.1 -0.6 1.1 -0.9 -4.5
2016 -0.2 2.2 0.4 -0.6 0.2 0 -0.4 -0.1 0.8 -0.6 0.3 -0.2 1.9
2017 -0.3 1.5 -0.3 0 0.9 0.2 0.2 0.3 0.2 0.3 -0.1 -0.3 2.7
2018 0.1 -1.3 1.2 -0.2 0.9 0 -0.5 -0.1 0.4 0.7 0.8 1 3.1
2019 0.3 0.5 1.2 -0.8 -1.3 0.7 -1.1 0.3 -1.4 1 -0.3 0.3 -0.8
2020 -1.8 -1.4 -4.3 -2.7 0.2 0 -0.3 0 0.1 0.2 0.9 0.9 -8.1
2021 0.7 2.2 -0.4 NA NA NA NA NA NA NA NA NA 2.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-01-30  49.2 SPY    113.  0        -0.0083   0.0207   0.0789    0.344   -0.168  -0.0998 <NA>     NA    NA       NA
2 2004-02-02  49.4 SPY    114.  0.0043   -0.0164   0.0242   0.0813    0.324   -0.162  -0.0853 <NA>     NA    NA       NA
3 2004-02-03  49.4 SPY    114. -0.0017   -0.0078   0.0229   0.0805    0.320   -0.163  -0.102  <NA>     NA    NA       NA
4 2004-02-04  49.2 SPY    113. -0.0082   -0.0046   0.0036   0.0647    0.322   -0.174  -0.116  <NA>     NA    NA       NA
5 2004-02-05  49.2 SPY    113.  0.00290  -0.0026   0.0056   0.0702    0.334   -0.179  -0.108  <NA>     NA    NA       NA
6 2004-02-06  49.7 SPY    114.  0.0112    0.0085   0.0135   0.0813    0.355   -0.165  -0.0926 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart